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Example Spreadsheet For Curve Construction

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ElMariachi

Example Spreadsheet For Curve Construction

Can anyone share a spreadsheet that properly constructs a bootstrapped swap curve using the different rate helpers? I haven't been able to get started using the provided example sheet - I'd like to plot the 3m forwards to check forward rate smoothness.

- luis

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Kim Kuen Tang

Re: Example Spreadsheet For Curve Construction

> example sheet - I'd like to plot the 3m forwards to check forward rate
> smoothness.
>
> - luis
> ------------------------------------------------------------------------
>
> ------------------------------------------------------------------------------
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>

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ElMariachi

Re: Example Spreadsheet For Curve Construction

I'd like to see a sheet that builds a curve and also uses the curve to calculate forward rates - i wasn't able to produce this from the provided examples.

- luis

On Wed, Jul 28, 2010 at 2:27 PM, Kim Kuen Tang <[hidden email]> wrote:

Hi luis,

luis cota schrieb:

Can anyone share a spreadsheet that properly constructs a bootstrapped swap curve using the different rate helpers? I haven't been able to get started using the provided

can you give more details what is not working, or not properly set?
IMHO the sheet provided in the example is working.

-Kim

example sheet - I'd like to plot the 3m forwards to check forward rate smoothness.

- luis
------------------------------------------------------------------------

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Robert Philipp

Re: Example Spreadsheet For Curve Construction

Try this one:
http://www.google.com/url?sa=t&source=web&cd=3&ved=0CCQQFjAC&url=http%3A%2F%2Fwebuser.bus.umich.edu%2FOrganizations%2FFinanceClub%2Fresources%2FBootstrappingMath.xls&ei=mb5RTJHAEoSClAfc3KDOBQ&usg=AFQjCNE5ZeGLh3yzWEb7LbBgvMGeyhiPTg

Robert Philipp
Synapse Financial Engineering
703.623.4063 (mobile)
703.573.0119 (fax)

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www.synapsefe.com

On 7/29/2010 1:28 PM, luis cota wrote:

I'd like to see a sheet that builds a curve and also uses the curve to calculate forward rates - i wasn't able to produce this from the provided examples.

- luis

On Wed, Jul 28, 2010 at 2:27 PM, Kim Kuen Tang <[hidden email]> wrote:

Hi luis,

luis cota schrieb:

Can anyone share a spreadsheet that properly constructs a bootstrapped swap curve using the different rate helpers? I haven't been able to get started using the provided

can you give more details what is not working, or not properly set?
IMHO the sheet provided in the example is working.

-Kim

example sheet - I'd like to plot the 3m forwards to check forward rate smoothness.

- luis

------------------------------------------------------------------------

------------------------------------------------------------------------------
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Plug-In Development Kit to bring their C/C++ apps to Palm for a share of $1 Million in cash or HP Products. Visit us here for more details:
http://ad.doubleclick.net/clk;226879339;13503038;l?
http://clk.atdmt.com/CRS/go/247765532/direct/01/
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Kim Kuen Tang

Re: Example Spreadsheet For Curve Construction

In reply to this post by ElMariachi

luis cota schrieb:
> I'd like to see a sheet that builds a curve and also uses the curve
> to calculate forward rates - i wasn't able to produce this from the
> provided examples.
Hi luis,

the function qlYieldTSForwardRate can be used to get the forwards back.
I added the function to the example sheet.

HTH

-Kim

>
> - luis
>
> On Wed, Jul 28, 2010 at 2:27 PM, Kim Kuen Tang <[hidden email]
> <mailto:[hidden email]>> wrote:
>
>
> Hi luis,
>
>
> luis cota schrieb:
>
> Can anyone share a spreadsheet that properly constructs a
> bootstrapped swap curve using the different rate helpers? I
> haven't been able to get started using the provided
>
> can you give more details what is not working, or not properly set?
> IMHO the sheet provided in the example is working.
>
> -Kim
>
> example sheet - I'd like to plot the 3m forwards to check
> forward rate smoothness.
>
> - luis
> ------------------------------------------------------------------------
>
> ------------------------------------------------------------------------------
> The Palm PDK Hot Apps Program offers developers who use the
> Plug-In Development Kit to bring their C/C++ apps to Palm for
> a share of $1 Million in cash or HP Products. Visit us here
> for more details:
> http://ad.doubleclick.net/clk;226879339;13503038;l?
> http://clk.atdmt.com/CRS/go/247765532/direct/01/
> ------------------------------------------------------------------------
>
>
>
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> <mailto:[hidden email]>
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>
>
>

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Plug-In Development Kit to bring their C/C++ apps to Palm for a share
of $1 Million in cash or HP Products. Visit us here for more details:
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YieldCurveBootstrapping.xls (77K) Download Attachment

ElMariachi

Re: Example Spreadsheet For Curve Construction

Thanks so much!

On Thu, Jul 29, 2010 at 3:45 PM, Kim Kuen Tang <[hidden email]> wrote:

luis cota schrieb:

I'd like to see a sheet that builds a curve and also uses the curve to calculate forward rates - i wasn't able to produce this from the provided examples.

Hi luis,

the function qlYieldTSForwardRate can be used to get the forwards back. I added the function to the example sheet.

HTH

-Kim

- luis

On Wed, Jul 28, 2010 at 2:27 PM, Kim Kuen Tang <[hidden email] <mailto:[hidden email]>> wrote:

Hi luis,

luis cota schrieb:

Can anyone share a spreadsheet that properly constructs a
bootstrapped swap curve using the different rate helpers? I
haven't been able to get started using the provided

can you give more details what is not working, or not properly set?
IMHO the sheet provided in the example is working.

-Kim

example sheet - I'd like to plot the 3m forwards to check
forward rate smoothness.

- luis
------------------------------------------------------------------------

------------------------------------------------------------------------------
The Palm PDK Hot Apps Program offers developers who use the
Plug-In Development Kit to bring their C/C++ apps to Palm for
a share of $1 Million in cash or HP Products. Visit us here
for more details:
http://ad.doubleclick.net/clk;226879339;13503038;l?
http://clk.atdmt.com/CRS/go/247765532/direct/01/
------------------------------------------------------------------------

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prashanth nandedkar

Re: Example Spreadsheet For Curve Construction

In reply to this post by ElMariachi

Sent from my HTC Touch Pro2 on the Now Network from Sprint®.

-----Original Message-----
From: Kim Kuen Tang
Sent: 7/28/2010 6:27:00 PM
To: luis cota
Cc: [hidden email]
Subject: Re: [Quantlib-users] Example Spreadsheet For Curve Construction

Hi luis,

luis cota schrieb:
> Can anyone share a spreadsheet that properly constructs a bootstrapped
> swap curve using the different rate helpers? I haven't been able to
> get started using the provided
can you give more details what is not working, or not properly set?
IMHO the sheet provided in the example is working.

-Kim
> example sheet - I'd like to plot the 3m forwards to check forward rate
> smoothness.
>
> - luis
> ------------------------------------------------------------------------
>
> ------------------------------------------------------------------------------
> The Palm PDK Hot Apps Program offers developers who use the
> Plug-In Development Kit to bring their C/C++ apps to Palm for a share
> of $1 Million in cash or HP Products. Visit us here for more details:
> http://ad.doubleclick.net/clk;226879339;13503038;l?
> http://clk.atdmt.com/CRS/go/247765532/direct/01/
> ------------------------------------------------------------------------
>
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

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of $1 Million in cash or HP Products. Visit us here for more details:
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